by admin | Nov 30, 2009 | risk
In a recent comment (see “Waltzing through the blogospher,” November 28, 2009) Steve Campisi wrote about the need to measure liquidity risk, citing the difficulties that the Yale Endowment fund had. It just so happens that this month’s Institutional...
by admin | Nov 28, 2009 | attribution, GIPS, Returns, risk
I guess it’s not surprising that as a blogger, I occasionally wonder around looking at other blogs … I regularly visit about a dozen and am always looking for new ones to add to my list. Today I’ve visited several new sites and have picked up a few...
by admin | Nov 16, 2009 | risk, value at risk
At last week’s Performance Measurement Forum meeting in Rome I mentioned how during this most recent economic crisis the Value at Risk metric has demonstrated how little value it provides: what firm’s use of this measure provided them with any degree of...
by admin | Nov 3, 2009 | attribution, GIPS, Returns, risk
Through this blog I recently received a question that wasn’t related to a specific post. I opted not to respond because (a) I didn’t know who it was from (it was sent anonymously) and (b) it didn’t fit what it was tied to. I will be happy to respond...
by admin | Nov 2, 2009 | GIPS, risk
Our monthly newsletter went out last week, and we immediately received inquiries and comments about one of the topics: risk. I extended my recent blog remarks on this subject to shed further light on it, but there’s still confusion and a need for greater...
by admin | Oct 23, 2009 | risk
One of our clients asked us to calculate a variety of risk statistics for them this week and in the course of the assignment we were asked some intriguing questions, a couple of which I’ll share with you today. Annualizing Beta: can we annualize beta? I...
